"There is a fire on the site," a spokeswoman for the service who declined to give her name told AFP.
"We cannot provide any further comment until the situation becomes clearer."
Three people became trapped in the basement of the building just south of the capital, Interfax news agency quoted a source as saying, but the head of SVR's press service Sergei Ivanov later said that "nobody was hurt".
"The fire has been localised," he told Russian agencies.